Lawyer here : in the rare case where you get sued for "illegal" use of a ROM, while I can't account for the laws in every country and state, they can ONLY prosecute you if they get you to confess to,, accept or understand that you committed theft. Often an officer or prosecutor would ask something along the lines of "Do you accept/understand that you stole GF's software by downloading it and running it without paying for a licence to use it, or without their explicit consent?" "Yes, I'm sorry, but I didn't know!" - That would land you a guilty verdict, in theory (of course this scenario will 99% never ever happen). If you, however, don't ever confess or confirm that you accept or understand, but instead make a counterclaim by asking whether or not GF can prove any loss or damages caused by your use of the software. Since they can't submit any evidence of this, there's no evidence of a theft.
If you steal a chocolate bar, the chocolate bar is no longer in the possession of the owner, but it is in your possession, there is loss, there is therefore a theft.
If you download software, you in fact create for yourself a clone of intellectual property, they still have their game data, they have lost nothing. UNLESS you somehow make a monetary gain or you distribute the software in some way which prevents GF from making the profits that they should, you've deprived them of sales, then there's direct evidence of cause of a loss of earnings, which is theft.
tl;dr version : If you download it, play it and never redistribute it, as long as you never confess to theft, or answer yes when asked if you accept or understand that it's theft, you CANNOT be prosecuted or sued for using any pirated game, or listening to pirated music.
... Does that make it ethical to do so? NOPE, but it's legal by way of pretty exploitable loophole via the common law definition of theft, which is why they don't bother to prosecute for it.
Sorry for the boring legal stuff :P but it's there just in case anyone does get in trouble for piracy... Note, I DO NOT ENDORSE OR CONDONE PIRACY, it is unethical.
